STOPPING TIMES OF BROWNIAN MOTION: SOME PROPERTIES OF ROOT'S CONSTRUCTION.
Abstract
Root recently described a method of constructing an absorbing barrier for Brownian motion with the property that the value of the process at the moment it stops has any desired distribution with zero mean and finite variance. Further properties of the construction are investigated here, concerning uniqueness and continuity. (Author)
Document Details
- Document Type
- Technical Report
- Publication Date
- Jul 01, 1969
- Accession Number
- AD0691827
Entities
People
- Robert M. Loynes
Organizations
- University of North Carolina at Chapel Hill